Direct answer
Raw spread can be measured by recording the bid and ask prices at the same moment (or as close as possible) and then computing their difference, usually in price units and/or converted to pips. To make measurements independently checkable, you must also state the exact timestamp basis and define what is included or excluded (e.g., whether you use quote spread only, or an executed price plus costs). Because quotes, execution, and costs vary, measurements from different times or providers may not be comparable.
Mechanism and definition
“Raw spread” is typically the immediate distance between the best available bid and the best available ask for a given instrument. A practical way to measure it is:
- Choose the measurement scope.
- Quote spread: compute the difference between a bid quote and an ask quote observed at a defined point in time.
- Execution-based spread: use the actual bid/ask used for a fill (which may differ from the displayed quote) and then compute an effective difference.
- Define the bid-ask formula.
- Price spread = ask − bid.
- Convert to pips (only if you specify a pip rule for that instrument): pips = (ask − bid) ÷ pip_value.
- Record the metadata needed for verification. At minimum, log: instrument, quote source/venue, the timestamp method (e.g., “captured at this client time” or “received at this server time”), and whether the number is a quote spread or an execution-based effective spread.
This works because, with fixed definitions, the same bid and ask inputs will produce the same computed spread. But the moment you mix definitions (quote vs execution) or timestamps (different capture times), the measurement can change even if the market is stable.
Evidence or example (with explicit assumptions)
Example assumption set (you can replicate the process):
- You measure quote spread.
- You capture one bid and one ask for a specific symbol from a single quote source.
- You compute at that same logged timestamp.
Suppose at timestamp T you observe bid = 1.23450 and ask = 1.23465 (these are just placeholder values for demonstrating the method). Then:
- Price spread = 1.23465 − 1.23450 = 0.00015.
- If the instrument’s pip_value is 0.00001 (define this explicitly), then pips = 0.00015 ÷ 0.00001 = 15 pips.
To verify independently, a third party needs the same symbol, the same quote stream/venue, the same timestamp basis, and the same conversion rule. If any of these differ, you may still be computing a “spread,” but you are not measuring the same quantity.
Limitations and risks (failure modes)
At least one material limitation is that spread values are not unique across measurement setups:
- Timestamp mismatch: bid and ask can be captured at slightly different instants due to feed delays or processing. Even small delays can widen or narrow the computed spread.
- Mixed scope: comparing quote spread to execution-based effective spread mixes different phenomena (display vs fill).
- Variable market conditions: spreads can change rapidly; historical relationships do not guarantee future similarity.
- Hidden costs and execution effects: if you include commissions, financing, or routing/execution effects in some cases but not others, the “spread” numbers cease to be directly comparable.
Verification or next question
To make your measurement independently checkable, keep a measurement record with: (1) quote vs execution scope, (2) bid/ask formula, (3) timestamp basis, and (4) symbol and conversion rule. If you want a stronger comparison across providers, ask whether both sides measure the same scope (quote vs execution), use a consistent timestamp reference, and apply the same inclusion/exclusion rules for costs.
If you tell me your exact use case (quote-stream logging, platform execution logs, or broker-provided “raw spread” fields), I can help you write a measurement checklist that avoids the main comparability pitfalls.